Expected shortfall (also referred to as expected default risk in German)

In the calculation of risk, the expected value of all losses exceeding the calculated value at risk (expected shortfall is also called conditional value at risk [CVaR], average value at risk [AVaR], and expected tail loss [ETL]). – See Herfindahl-Hirschman index, confidence level, market valuation method, risk management. – Cf. Deutsche Bundesbank Monthly Report of December 2007, p. 59 f. (measurement in connection with economic capital requirements).

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